Question
A short-term investment portfolio has the following characteristics: Portfolio value 5,000,000 Expected return 2.75% Standard deviation of return 2.25% a. Use this information to calculate
A short-term investment portfolio has the following characteristics:
Portfolio value 5,000,000
Expected return 2.75%
Standard deviation of return 2.25%
a. Use this information to calculate VAR (95%) and interpret your calculation.
b. Recalculate VAR (95%) with a standard deviation of 5 percent. Discuss why your calculation in part B is so much higher than that in part A.
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International Financial Management
Authors: Jeff Madura
2nd Edition
0314430296, 978-0314430298
